Hedging of Claims with Physical Delivery under Convex Transaction Costs

DOI10.1137/090754182zbMath1230.91059arXiv0810.2016OpenAlexW2147724549MaRDI QIDQ3563690

Irina Penner, Teemu Pennanen

Publication date: 1 June 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.2016

zbMATH Keywords

transaction costsconvex dualityilliquiditysuperhedgingphysical delivery

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory for topological vector spaces (46A20) Convex sets in topological vector spaces (aspects of convex geometry) (52A07)

Related Items (31)

Optional and predictable projections of normal integrands and convex-valued processes ⋮ A note on super-hedging for investor-producers ⋮ A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle ⋮ Duality and convergence for binomial markets with friction ⋮ Arbitrage theory for non convex financial market models ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Stochastic programs without duality gaps ⋮ Essential supremum and essential maximum with respect to random preference relations ⋮ Liquidity-adjusted risk measures ⋮ Set-valued risk measures for conical market models ⋮ Dual representation of superhedging costs in illiquid markets ⋮ Parameter-dependent stochastic optimal control in finite discrete time ⋮ SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES ⋮ Dynamic programming principle and computable prices in financial market models with transaction costs ⋮ GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS ⋮ Arbitrage and deflators in illiquid markets ⋮ Multi-portfolio time consistency for set-valued convex and coherent risk measures ⋮ SUPERHEDGING IN ILLIQUID MARKETS ⋮ Convex integral functionals of regular processes ⋮ NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ Introduction to convex optimization in financial markets ⋮ Nonlinear expectations of random sets ⋮ Risk arbitrage and hedging to acceptability under transaction costs ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ General financial market model defined by a liquidation value process ⋮ Set Optimization—A Rather Short Introduction ⋮ MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS ⋮ Time consistency for scalar multivariate risk measures ⋮ Duality and optimality conditions in stochastic optimization and mathematical finance ⋮ Hedging, arbitrage and optimality with superlinear frictions

This page was built for publication: Hedging of Claims with Physical Delivery under Convex Transaction Costs